Empirical Assets price impact on exchange rate and stock market rate in Pakistan .

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Name = REMHAN KHAN
NAME OF TEACHER = SIR SAAD SHAIKH
DEPARTENT = Business Administration
BATCH = 1ST
SEMESTER = 1ST
PROJECT = Empirical assets price impact of exchange rate and stock rate
pakistan
COURS = RISK MANAGEMENT FINANCIAL INSTITUTIONS

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Introduction
There tested the eveiws software on monthly data of Pakistan such as dependent variable
KSE-100 and three independent variable inflation rate ,interest rate and usd-pkr currency
rate .the data is time series of 2006 to 2016 and there is different statistic eviews tools
applied on this data such as units root double matrix 2nd
tool descript statistic 3rd
one
johansen cointegration matrix 4th
one correlation matrix and 5th
one regression model 2 .
Table o1 of the 1st
level unit tools .
Null Hypothesis: KSE_100 has a unit root
Exogenous:Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 1.016785 0.9966
Test critical values: 1% level -3.486064
5% level -2.885863
10% level -2.579818
The above table 01 istestedof one dependentvariable KSE_100 index of monthly datatestedby
the eviewssoftware andapplied 1st
level unitroottoolsstrategyand t -statisticresultisshow
1.016785 thisresultof the t- statisticare grater thenfor acceptable .andprobability0.9966 is also
greaterthenof 0.05 that’srejectedof 1st
level of regression .
Table 02 1st
difference of the unit tool matrix .
Null Hypothesis:D(KSE_100) has a unit root
Exogenous:Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -11.66532 0.0000
Test critical values: 1% level -3.486551
5% level -2.886074
10% level -2.579931
The second table 02 of the unitroot and 1st
difference of the dependent variable tested and show the resultthat’s
there is probabilityis 0.000 that’s show less then ofthe p value of 0.05 mean 5% grater then of the 0.000 that’s
are accepted and null hypothesis ofthe 1st
difference of the unit root strategy and t-statistic -11.66532 its
rejected therefore the greater then of the critical value.

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5,000
10,000
15,000
20,000
25,000
30,000
35,000
40,000
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
KSE-100
There isshow the resultdata bythe graph.
Descript statistic regression table of 03 .
KSE_100 USD_PKR INT__RATE INFL
Mean 17534.77 86.71437 10.64538 9.779832
Median 13761.76 86.45000 10.29000 9.200000
Maximum 37783.54 108.3500 14.67000 21.70000
Minimum 5377.420 60.23000 6.240000 2.700000
Std. Dev. 9241.194 15.25180 2.191568 4.645475
Skewness 0.784143 -0.514969 -0.275227 0.723681
Kurtosis 2.121282 2.051669 2.268909 3.290684
Jarque-Bera 16.02367 9.718855 4.152575 10.80597
Probability 0.000332 0.007755 0.125395 0.004503
Sum 2086638. 10319.01 1266.800 1163.800
Sum Sq. Dev. 1.01E+10 27448.84 566.7504 2546.492
Observations 119 119 119 119
there the above table 03 is descriptstatistic testedandshow the resultof meanmedian maximum
minimumandstanderdeviation valuesof the firstone dependentviable andotherthree
independentvariable andthere isshowthe differentratiosvalue of the combinationvariables.

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0
2
4
6
8
10
12
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8000 12000 16000 20000 24000 28000 32000 36000
Series: KSE_100
Sample 2006M07 2016M06
Observations 120
Mean 17489.13
Median 13750.32
Maximum 37783.54
Minimum 5377.420
Std. Dev. 9215.857
Skewness 0.797105
Kurtosis 2.143300
Jarque-Bera 16.37721
Probability 0.000278
Johansen cointegration testedtable 04
Date: 05/25/19 Time:09:32
Sample (adjusted):2006M12 2016M06
Included observations:109 after adjustments
Trend assumption: Linear deterministic trend
Series:KSE_100 USD_PKR INT__RATE INFL
Lags interval (in first differences):1 to 4
Unrestricted Cointegration Rank Test(Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.193509 43.63589 47.85613 0.1178
At most 1 0.109017 20.19412 29.79707 0.4098
At most 2 0.067403 7.612290 15.49471 0.5077
At most 3 5.57E-05 0.006069 3.841466 0.9372
the 04 table are johansen cointegrationtest.thereisapplied4variable of null hypothesis tested
alternative hypothesisandall the pvalue of the testis graterthenof 0.05 and the alternative
hypothesiswill be rejectandnull hypothesisagainaccepteddue toall the table probabilityincrease
from5% of the critical values.like 1st
one value 0.1178 ,2nd
0.4098 ,3rd
one 0.5077 and lastone
0.9372.this valuesmore thenof Pvalue 0.05 there null hypothesisnotrejectandalternative
hypothesiswill be rejected.

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Table 05 of the correlation matrix
Covariance Analysis:Ordinary
Date: 05/25/19 Time:09:50
Sample:2006M07 2016M06
Included observations:119
Balanced sample (listwise missing value deletion)
Correlation
t-Statistic
Probability KSE_100 USD_PKR INT__RATE INFL
KSE_100 1.000000
USD_PKR 0.702066 1.000000
INT__RATE -0.781297 -0.320316 1.000000
INFL -0.735328 -0.320626 0.860001 1.000000
the table of 05 are showthe correlationbetweenthe dependentvariablesandindependent variable.
There is strongly positive linearrelationshipbetweendependentvariable (KSE-100) andindependent
variable (USD-PKR) andthere isbetween (KSE-100) andinterestrate( INT_RATE)are strongly
negative linearrelationship.and4th
there isbetween (KSE-100) andinflationrate(INFL) are strongly
negative linearrelationship.2nd
independentvariable there isalso weaknegative linearrelationship
between (USD-PKR) and(INT-RATE) .and2nd
one there is weaklinearnegativerelationship between
(USD-PKR) and(INFL) andindependentvariable (INT_RATE) andINFLare positive relationship.
The table 06 of the Regression model 2
DependentVariable:KSE_100
Method: LeastSquares
Date: 05/25/19 Time:10:36
Sample:2006M07 2016M06
Included observations:119
Variable Coefficient Std. Error t-Statistic Prob.
C 16427.49 3302.332 4.974513 0.0000
INFL -313.4991 144.0705 -2.176011 0.0316
INT__RATE -2053.703 305.3530 -6.725667 0.0000
USD_PKR 300.2465 23.63803 12.70185 0.0000
R-squared 0.844301 Mean dependentvar 17534.77
Adjusted R-squared 0.840240 S.D. dependentvar 9241.194
S.E. of regression 3693.709 Akaike info criterion 19.29969
Sum squared resid 1.57E+09 Schwarz criterion 19.39310
Log likelihood -1144.331 Hannan-Quinn criter. 19.33762
F-statistic 207.8686 Durbin-Watson stat 0.193251
Prob(F-statistic) 0.000000
the above table 06 there istestby Regressionmodel 2of significantrelationshipbetween
independentvariable anddependentvariable andtestedthe null hypothesisbythe Pvalue of
alternative hypothesis. there the table show result of Pvale 0.05 graterthenof the all probabilityto
0.000 2nd
0.0316 3rd
0.0000 4th
also0.000 that’smeanthere is null hypothesis rejectedand
alternative hypothesisacceptedafterthe regressionmodeltestedstrategy.andnextR-squaredalso
0.84%mor thenof 60 critical value andF-statisticof all alsobe lessthanof 0.05 thats meanthistable
projectisbetter. THANKS